A generalization of Expected Shortfall based capital allocation

Li Xun; Yangzhi Zhou; Yong Zhou

doi:10.1016/j.spl.2018.10.014

A generalization of Expected Shortfall based capital allocation

Li Xun, Yangzhi Zhou, Yong Zhou

School of Statistics

Changchun University of Technology

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

In this paper, a generalization of Expected Shortfall based capital allocation is explored, which is a class of allocation rules based on Orlicz risk measure with different Young functions. We propose the estimating equation estimator of the Orlicz risk measure based capital allocation. The properties of consistency and asymptotic normality of the estimator are derived. Simulations illustrate that the proposed estimator performs well with moderate sample sizes.

Original language	English
Pages (from-to)	193-199
Number of pages	7
Journal	Statistics and Probability Letters
Volume	146
DOIs	https://doi.org/10.1016/j.spl.2018.10.014
State	Published - Mar 2019

Keywords

Capital allocation
Estimating equation
Expected shortfall
Orlicz risk measure
Young function

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10.1016/j.spl.2018.10.014

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abstract = "In this paper, a generalization of Expected Shortfall based capital allocation is explored, which is a class of allocation rules based on Orlicz risk measure with different Young functions. We propose the estimating equation estimator of the Orlicz risk measure based capital allocation. The properties of consistency and asymptotic normality of the estimator are derived. Simulations illustrate that the proposed estimator performs well with moderate sample sizes.",

keywords = "Capital allocation, Estimating equation, Expected shortfall, Orlicz risk measure, Young function",

author = "Li Xun and Yangzhi Zhou and Yong Zhou",

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month = mar,

doi = "10.1016/j.spl.2018.10.014",

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AU - Zhou, Yong

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AB - In this paper, a generalization of Expected Shortfall based capital allocation is explored, which is a class of allocation rules based on Orlicz risk measure with different Young functions. We propose the estimating equation estimator of the Orlicz risk measure based capital allocation. The properties of consistency and asymptotic normality of the estimator are derived. Simulations illustrate that the proposed estimator performs well with moderate sample sizes.

KW - Capital allocation

KW - Estimating equation

KW - Expected shortfall

KW - Orlicz risk measure

KW - Young function

UR - https://www.scopus.com/pages/publications/85057562891

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DO - 10.1016/j.spl.2018.10.014

M3 - 文章

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VL - 146

SP - 193

EP - 199

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

A generalization of Expected Shortfall based capital allocation

Abstract

Keywords

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